Browsing Mathematics, Statistics & Physics by Subject "Fractional Black-Scholes equation"
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Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications
( Elsevier Ltd , 2017 , Article)In this article, a new model of Merton's optimal problem is derived. This derivation is based on stock price presented by fractional order stochastic differential equation. An extension of Hamilton-Jacobi-Bellman is used ...